This study investigates the impact of investor protection on corporate R&D investment using panel data from Chinese A-share listed companies spanning 2015 to 2022.By employing OLS regression,mediation,and moderati...This study investigates the impact of investor protection on corporate R&D investment using panel data from Chinese A-share listed companies spanning 2015 to 2022.By employing OLS regression,mediation,and moderation analyses,the results demonstrate that robust investor protection mechanisms significantly enhance corporate R&D expenditures.The mediation analysis reveals that investor protection alleviates financing constraints and improves information disclosure quality,both of which serve as key channels for fostering R&D investment.Furthermore,internal control systems and media attention are identified as positive moderators,amplifying the beneficial effects of investor protection on R&D.In contrast,the equity Herfindahl index(HHI)does not exhibit a significant moderating role.The study also highlights that financial leverage,profitability,and equity concentration negatively influence R&D,while revenue growth exerts a positive effect.These findings underscore the critical role of investor protection in driving corporate innovation and sustainable growth,offering valuable insights for policymakers and corporate managers aiming to optimize R&D strategies through improved governance frameworks.展开更多
The efficient market hypothesis in traditional financial theory struggles to explain the short-term irrational fluctuations in the A-share market,where investor sentiment fluctuations often serve as the core driver of...The efficient market hypothesis in traditional financial theory struggles to explain the short-term irrational fluctuations in the A-share market,where investor sentiment fluctuations often serve as the core driver of abnormal stock price movements.Traditional sentiment measurement methods suffer from limitations such as lag,high misjudgment rates,and the inability to distinguish confounding factors.To more accurately explore the dynamic correlation between investor sentiment and stock price fluctuations,this paper proposes a sentiment analysis framework based on large language models(LLMs).By constructing continuous sentiment scoring factors and integrating them with a long short-term memory(LSTM)deep learning model,we analyze the correlation between investor sentiment and stock price fluctuations.Empirical results indicate that sentiment factors based on large language models can generate an annualized excess return of 9.3%in the CSI 500 index domain.The LSTM stock price prediction model incorporating sentiment features achieves a mean absolute percentage error(MAPE)as low as 2.72%,significantly outperforming traditional models.Through this analysis,we aim to provide quantitative references for optimizing investment decisions and preventing market risks.展开更多
This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,coo...This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,cooperators and discreet investors.Among these,defectors do not participate in investing,discreet investors make heterogeneous investments based on the investment behavior and cooperation value of their neighbors,and cooperators invest equally in each neighbor.In real life,heterogeneous investment is often accompanied by time or economic costs.The discreet investors in this paper pay a certain price to obtain their neighbors'investment behavior and cooperation value,which quantifies the time and economic costs of the heterogeneous investment process.The results of Monte Carlo simulation experiments in this study show that discreet investors can effectively resist the invasion of the defectors,form a stable cooperative group and expand the cooperative advantage in evolution.However,when discreet investors pay too high a price,they lose their strategic advantage.The results in this paper help us understand the role of heterogeneous investment in promoting and maintaining human social cooperation.展开更多
The potential hypotheses for finance research based on social media sentiment revolve around the reliability of investor sentiment expressed on social media and the causal relationship between financial markets and th...The potential hypotheses for finance research based on social media sentiment revolve around the reliability of investor sentiment expressed on social media and the causal relationship between financial markets and this sentiment.The central hypothesis we focus on is derived from the"lie game"played by investors on social media.This study is the first to explore three states of this lie game in the context of the Chinese stock market:the"equilibrium state",the"confusion state",and the"subversion state".Our findings indicate that the"equilibrium"state is the typical state of the lie game,where increased investor sentiment results in more positive market behavior,and higher stock prices lead to increased investor sentiment.We also examine the effect of significant social events,such as the"lockdown in Wuhan"and the"lockdown in Shanghai",on the lie game's outcome.The successful lockdown in Wuhan and the public's opposition to the politicization of COVID-19 reinforced the"equilibrium"state of the game.However,the Shanghai lockdown's failure to promptly halt the spread of COVID-19 led to the intertwining of the economy and COVID-19 in public discourse,shifting the lie game's outcome from an"equilibrium state"to a"subversive state".We emphasize that the"confusion state"and"subversion state"outcomes of the lie game are concerning,and managing public opinion and the externalization of domestic conflicts can help reduce this risk.This study offers a fresh perspective on the traditional issues of investor sentiment reliability and the causal relationship between investor sentiment and stock markets.展开更多
Although the 2022 cryptocurrency market crash prompted despair among investors,the rallying cry,“wagmi”(We’re all gonna make it.)emerged among cryptocurrency enthusiasts in the aftermath.Did cryptocurrency enthusia...Although the 2022 cryptocurrency market crash prompted despair among investors,the rallying cry,“wagmi”(We’re all gonna make it.)emerged among cryptocurrency enthusiasts in the aftermath.Did cryptocurrency enthusiasts respond to this crash differently compared to traditional investors?Using natural language processing techniques applied to Twitter data,this study employed a difference-in-differences method to determine whether the cryptocurrency market crash had a differential effect on investor sentiment toward cryptocurrency enthusiasts relative to more traditional investors.The results indicate that the crash affected investor sentiment among cryptocurrency enthusiastic investors differently from traditional investors.In particular,cryptocurrency enthusiasts’tweets became more neutral and,surprisingly,less negative.This result appears to be primarily driven by a deliberate,collectivist effort to promote positivity within the cryptocurrency community(“wagmi”).Considering the more nuanced emotional content of tweets,it appears that cryptocurrency enthusiasts expressed less joy and surprise in the aftermath of the cryptocurrency crash than traditional investors.Moreover,cryptocurrency enthusiasts tweeted more frequently after the cryptocurrency crash,with a relative increase in tweet frequency of approximately one tweet per day.An analysis of the specific textual content of tweets provides evidence of herding behavior among cryptocurrency enthusiasts.展开更多
China’s focus on nurturing new quality productive forces while promoting high-quality development provides foreign investors with enormous market opportunities and vast development prospects,amid rising uncertainties...China’s focus on nurturing new quality productive forces while promoting high-quality development provides foreign investors with enormous market opportunities and vast development prospects,amid rising uncertainties in the global economic landscape.In a series of recent engagements with China,foreign investors,including British businesses,have expressed confidence in the future prospects of the market.展开更多
Attracting foreign capital is a key pillar of China’s reform and opening up policy,and foreign-funded enterprises are an important component of China’s economy.Currently,China is taking steps to further boost its at...Attracting foreign capital is a key pillar of China’s reform and opening up policy,and foreign-funded enterprises are an important component of China’s economy.Currently,China is taking steps to further boost its attractiveness as a foreign direct investment(FDI)destination in order to seek more foreign capital.展开更多
This study systematically reviewed the literature on using the Google Search Volume Index(GSVI)as a proxy variable for investor attention and stock market movements.We analyzed 56 academic studies published between 20...This study systematically reviewed the literature on using the Google Search Volume Index(GSVI)as a proxy variable for investor attention and stock market movements.We analyzed 56 academic studies published between 2010 and 2021 using the Web of Sciences and ScienceDirect databases.The articles were classified and synthesized based on the selection criteria for building the GSVI:keywords of the search term,market region,and frequency of the data sample.Next,we analyze the effect of returns,volatility,and trading volume on the financial variables.The main results can be summarized as follows.(1)The GSVI is positively related to volatility and trading volume regardless of the keyword,market region,or frequency used for the sample.Hence,increasing investor attention toward a specific financial term will increase volatility and trading volume.(2)The GSVI can improve forecasting models for stock market movements.To conclude,this study consolidates,for the first time,the research literature on GSVI,which is highly valuable for academic practitioners in the area.展开更多
This study employs a fixed-effects model to investigate the holiday effect in the cryptocurrency market,using trading data for the top 100 cryptocurrencies by market capitalization on Coinmarketcap.com from January 1,...This study employs a fixed-effects model to investigate the holiday effect in the cryptocurrency market,using trading data for the top 100 cryptocurrencies by market capitalization on Coinmarketcap.com from January 1,2017 to July 1,2022.The results indicate that returns on cryptocurrencies increase significantly during Chinese holiday periods.Additionally,we use textual analysis to construct an investor sentiment indicator and find that positive investor sentiment boosts cryptocurrency market returns.However,when positive investor sentiment prevails in the cryptocurrency market,the holiday effect weakens,implying that positive investor sentiment attenuates the holiday effect.Robustness tests based on the Bitcoin market generate consistent results.Moreover,this study explores the mechanisms underlying the cryptocurrency holiday effect and examines the impact of epidemic transmission risk and heterogeneity characteristics on this phenomenon.These findings offer novel insights into the impact of Chinese statutory holidays on the cryptocurrency market and illuminate the role of investor sentiment in this market.展开更多
This paper specifically investigates the effects of US government emergency actions on the investor sentiment–financial institution stock returns relationship.Despite attempts by many studies,the literature still pro...This paper specifically investigates the effects of US government emergency actions on the investor sentiment–financial institution stock returns relationship.Despite attempts by many studies,the literature still provides no answers concerning this nexus.Using a new firm-specific Twitter investor sentiment(TS)metric and performing a panel smooth transition regression for daily data on 66 S&P 500 financial institutions from January 1 to December 31,2020,we find that TS acts asymmetrically,nonlinearly,and time varyingly according to the pandemic situation and US states’responses to COVID-19.In other words,we uncover the nexus between TS and financial institution stock returns and determine that it changes with US states’reactions to COVID-19.With a permissive government response(the first regime),TS does not impact financial institution stock returns;however,when moving to a strict government response(the overall government response index exceeds the 63.59 threshold),this positive effect becomes significant in the second regime.Moreover,the results show that the slope of the transition function is high,indicating an abrupt rather than a smooth transition between the first and second regimes.The results are robust and have important policy implications for policymakers,investment analysts,and portfolio managers.展开更多
With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news re...With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news reports on A share listed companies in the Snowball net,and studies the relationship between media attention and investors'heterogeneous beliefs.It is found that media attention is positively correlated with investors'heterogeneous beliefs,that is,investors are more likely to choose stocks frequently reported by media.Further research finds that media reports will strengthen investors'heterogeneous beliefs,affect investors'investment behavior,and ultimately lead to the increase of stock trading volume.展开更多
This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, an...This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and comovement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.展开更多
This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effec...This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effects, panel quantile regressions, apanel vector autoregression (PVAR) model, and country-specific regressions. We proxyfor negative and positive investor sentiments using the Google Search Volume Indexfor terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significantrelationships between positive and negative investor sentiments and stock marketreturns and volatility. Specifically, an increase in positive investor sentiment leads toan increase in stock returns while negative investor sentiment decreases stock returnsat lower quantiles. The effect of investor sentiment on volatility is consistent acrossthe distribution: negative sentiment increases volatility, whereas positive sentimentreduces volatility. These results are robust as they are corroborated by Granger causalitytests and a PVAR model. The findings may have portfolio implications as they indicatethat proxies for positive and negative investor sentiments seem to be good predictorsof stock returns and volatility during the pandemic.展开更多
This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling p...This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling positions of open-end fund investors in China. Results show that investors' buying and selling behaviors are significantly affected by fund performance. The reasons that lie behind such results are mainly related to the non-persistence of fund performance. When fund performance is non-persistent, investors are not clear about the future returns on funds. So, investors, especially individual investors, would have to realize the profits on hand immediately. Meanwhile, fund investors are highly sensitive to fund age and loading fees, but not sensitive to management fees charged by funds when they buy or sell fund shares.展开更多
This paper examines systematic differences in earnings management through real activity manipulation and accrual manipulation across 7 Asia countries. The study proposes arguments that in economies with high investor ...This paper examines systematic differences in earnings management through real activity manipulation and accrual manipulation across 7 Asia countries. The study proposes arguments that in economies with high investor protection, managers prefer to manage earnings through real activity manipulation rather than through accrual manipulation because accrual manipulation is more likely to draw auditors or regulators scrutiny than real decisions about pricing and production. The study findings are consistent with prediction. Despite being in economies with high investor protection, managers still have bigger discretion in managing earnings through real activities rather than accrual manipulation.展开更多
The objective of this study is to examine the effect of accounting standards and investor protection on value relevance of earnings and book value of equity among European Union countries during the years 1999-2007. T...The objective of this study is to examine the effect of accounting standards and investor protection on value relevance of earnings and book value of equity among European Union countries during the years 1999-2007. The results indicate that the adoption of International Financial Reporting Standards [IFRS] leads to improvement in value relevance, particularly on earnings. We also examine the impact of investor protection and the deviation of local accounting standards from IFRS on the effectiveness of the IFRS adoption. The results show supporting evidence for investor protection but inconclusive evidence for accounting standard deviation. However, additional analysis indicates that the countries which apparently benefit from adopting IFRS are those with high deviation of local accounting standards from IFRS and high investor protection. The findings imply that adopting IFRS alone cannot improve value relevance of accounting information, but standard setters and regulators need to strengthen their investor protection mechanisms in order to improve the quality of accounting information.展开更多
Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothe...Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothesis.However,after private issuance,we document a significant positive abnormal return within three years.We believe firms choose to polish their financial statement before the exit of institutional investors and controlling shareholders.Through manipulation of discretional accruals,firms improve the profitability and market valuation,and help institutional investors and controlling shareholders obtain the abnormal return after private placement of equity.Nevertheless,such manipulation cannot be sustained and will do harm to other investors in the long-term.展开更多
In order to examine the effects of avoiding reputation damage by investor relations management under certain corporate governance structures and mechanisms, samples of 1120 listed companies are used to research the in...In order to examine the effects of avoiding reputation damage by investor relations management under certain corporate governance structures and mechanisms, samples of 1120 listed companies are used to research the influence on financial restatements by corporate governance. Then the moderating effects of investor relations management on financial restatements are analyzed. The result is that the more dispersed the equity, the higher the probability of financial restatements will be (This includes the government-controlled companies). Also the higher the proportion of independent directors and the higher the level of investor relations management, the lower the probability of financial restatements will be. Furthermore, as a moderating variable, investor relations management can eliminate the negative effects of corporate governance, enhance the effect of independent directors and reduce the probability of financial restatement.展开更多
This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst op...This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst optimism,and stock price crash risk.The results indicated that investor attention aggravates the stock price crash risk and has a positive effect on analyst optimism.Meanwhile,the analyst optimism plays a mediating role in the positive correlation between investor attention and stock price crash risk.In addition to that,institutional investor attention also has direct and indirect effects on the crash risk.展开更多
文摘This study investigates the impact of investor protection on corporate R&D investment using panel data from Chinese A-share listed companies spanning 2015 to 2022.By employing OLS regression,mediation,and moderation analyses,the results demonstrate that robust investor protection mechanisms significantly enhance corporate R&D expenditures.The mediation analysis reveals that investor protection alleviates financing constraints and improves information disclosure quality,both of which serve as key channels for fostering R&D investment.Furthermore,internal control systems and media attention are identified as positive moderators,amplifying the beneficial effects of investor protection on R&D.In contrast,the equity Herfindahl index(HHI)does not exhibit a significant moderating role.The study also highlights that financial leverage,profitability,and equity concentration negatively influence R&D,while revenue growth exerts a positive effect.These findings underscore the critical role of investor protection in driving corporate innovation and sustainable growth,offering valuable insights for policymakers and corporate managers aiming to optimize R&D strategies through improved governance frameworks.
文摘The efficient market hypothesis in traditional financial theory struggles to explain the short-term irrational fluctuations in the A-share market,where investor sentiment fluctuations often serve as the core driver of abnormal stock price movements.Traditional sentiment measurement methods suffer from limitations such as lag,high misjudgment rates,and the inability to distinguish confounding factors.To more accurately explore the dynamic correlation between investor sentiment and stock price fluctuations,this paper proposes a sentiment analysis framework based on large language models(LLMs).By constructing continuous sentiment scoring factors and integrating them with a long short-term memory(LSTM)deep learning model,we analyze the correlation between investor sentiment and stock price fluctuations.Empirical results indicate that sentiment factors based on large language models can generate an annualized excess return of 9.3%in the CSI 500 index domain.The LSTM stock price prediction model incorporating sentiment features achieves a mean absolute percentage error(MAPE)as low as 2.72%,significantly outperforming traditional models.Through this analysis,we aim to provide quantitative references for optimizing investment decisions and preventing market risks.
基金Project supported by the Open Foundation of Key Laboratory of Software Engineering of Yunnan Province(Grant Nos.2020SE308 and 2020SE309).
文摘This paper studies the evolutionary process of cooperative behavior in a public goods game model with heterogeneous investment strategies in square lattices.In the proposed model,players are divided into defectors,cooperators and discreet investors.Among these,defectors do not participate in investing,discreet investors make heterogeneous investments based on the investment behavior and cooperation value of their neighbors,and cooperators invest equally in each neighbor.In real life,heterogeneous investment is often accompanied by time or economic costs.The discreet investors in this paper pay a certain price to obtain their neighbors'investment behavior and cooperation value,which quantifies the time and economic costs of the heterogeneous investment process.The results of Monte Carlo simulation experiments in this study show that discreet investors can effectively resist the invasion of the defectors,form a stable cooperative group and expand the cooperative advantage in evolution.However,when discreet investors pay too high a price,they lose their strategic advantage.The results in this paper help us understand the role of heterogeneous investment in promoting and maintaining human social cooperation.
文摘The potential hypotheses for finance research based on social media sentiment revolve around the reliability of investor sentiment expressed on social media and the causal relationship between financial markets and this sentiment.The central hypothesis we focus on is derived from the"lie game"played by investors on social media.This study is the first to explore three states of this lie game in the context of the Chinese stock market:the"equilibrium state",the"confusion state",and the"subversion state".Our findings indicate that the"equilibrium"state is the typical state of the lie game,where increased investor sentiment results in more positive market behavior,and higher stock prices lead to increased investor sentiment.We also examine the effect of significant social events,such as the"lockdown in Wuhan"and the"lockdown in Shanghai",on the lie game's outcome.The successful lockdown in Wuhan and the public's opposition to the politicization of COVID-19 reinforced the"equilibrium"state of the game.However,the Shanghai lockdown's failure to promptly halt the spread of COVID-19 led to the intertwining of the economy and COVID-19 in public discourse,shifting the lie game's outcome from an"equilibrium state"to a"subversive state".We emphasize that the"confusion state"and"subversion state"outcomes of the lie game are concerning,and managing public opinion and the externalization of domestic conflicts can help reduce this risk.This study offers a fresh perspective on the traditional issues of investor sentiment reliability and the causal relationship between investor sentiment and stock markets.
文摘Although the 2022 cryptocurrency market crash prompted despair among investors,the rallying cry,“wagmi”(We’re all gonna make it.)emerged among cryptocurrency enthusiasts in the aftermath.Did cryptocurrency enthusiasts respond to this crash differently compared to traditional investors?Using natural language processing techniques applied to Twitter data,this study employed a difference-in-differences method to determine whether the cryptocurrency market crash had a differential effect on investor sentiment toward cryptocurrency enthusiasts relative to more traditional investors.The results indicate that the crash affected investor sentiment among cryptocurrency enthusiastic investors differently from traditional investors.In particular,cryptocurrency enthusiasts’tweets became more neutral and,surprisingly,less negative.This result appears to be primarily driven by a deliberate,collectivist effort to promote positivity within the cryptocurrency community(“wagmi”).Considering the more nuanced emotional content of tweets,it appears that cryptocurrency enthusiasts expressed less joy and surprise in the aftermath of the cryptocurrency crash than traditional investors.Moreover,cryptocurrency enthusiasts tweeted more frequently after the cryptocurrency crash,with a relative increase in tweet frequency of approximately one tweet per day.An analysis of the specific textual content of tweets provides evidence of herding behavior among cryptocurrency enthusiasts.
文摘China’s focus on nurturing new quality productive forces while promoting high-quality development provides foreign investors with enormous market opportunities and vast development prospects,amid rising uncertainties in the global economic landscape.In a series of recent engagements with China,foreign investors,including British businesses,have expressed confidence in the future prospects of the market.
文摘Attracting foreign capital is a key pillar of China’s reform and opening up policy,and foreign-funded enterprises are an important component of China’s economy.Currently,China is taking steps to further boost its attractiveness as a foreign direct investment(FDI)destination in order to seek more foreign capital.
文摘This study systematically reviewed the literature on using the Google Search Volume Index(GSVI)as a proxy variable for investor attention and stock market movements.We analyzed 56 academic studies published between 2010 and 2021 using the Web of Sciences and ScienceDirect databases.The articles were classified and synthesized based on the selection criteria for building the GSVI:keywords of the search term,market region,and frequency of the data sample.Next,we analyze the effect of returns,volatility,and trading volume on the financial variables.The main results can be summarized as follows.(1)The GSVI is positively related to volatility and trading volume regardless of the keyword,market region,or frequency used for the sample.Hence,increasing investor attention toward a specific financial term will increase volatility and trading volume.(2)The GSVI can improve forecasting models for stock market movements.To conclude,this study consolidates,for the first time,the research literature on GSVI,which is highly valuable for academic practitioners in the area.
基金One of the authors(Jian Huang)received research support from Towson University,for this research.
文摘This study employs a fixed-effects model to investigate the holiday effect in the cryptocurrency market,using trading data for the top 100 cryptocurrencies by market capitalization on Coinmarketcap.com from January 1,2017 to July 1,2022.The results indicate that returns on cryptocurrencies increase significantly during Chinese holiday periods.Additionally,we use textual analysis to construct an investor sentiment indicator and find that positive investor sentiment boosts cryptocurrency market returns.However,when positive investor sentiment prevails in the cryptocurrency market,the holiday effect weakens,implying that positive investor sentiment attenuates the holiday effect.Robustness tests based on the Bitcoin market generate consistent results.Moreover,this study explores the mechanisms underlying the cryptocurrency holiday effect and examines the impact of epidemic transmission risk and heterogeneity characteristics on this phenomenon.These findings offer novel insights into the impact of Chinese statutory holidays on the cryptocurrency market and illuminate the role of investor sentiment in this market.
文摘This paper specifically investigates the effects of US government emergency actions on the investor sentiment–financial institution stock returns relationship.Despite attempts by many studies,the literature still provides no answers concerning this nexus.Using a new firm-specific Twitter investor sentiment(TS)metric and performing a panel smooth transition regression for daily data on 66 S&P 500 financial institutions from January 1 to December 31,2020,we find that TS acts asymmetrically,nonlinearly,and time varyingly according to the pandemic situation and US states’responses to COVID-19.In other words,we uncover the nexus between TS and financial institution stock returns and determine that it changes with US states’reactions to COVID-19.With a permissive government response(the first regime),TS does not impact financial institution stock returns;however,when moving to a strict government response(the overall government response index exceeds the 63.59 threshold),this positive effect becomes significant in the second regime.Moreover,the results show that the slope of the transition function is high,indicating an abrupt rather than a smooth transition between the first and second regimes.The results are robust and have important policy implications for policymakers,investment analysts,and portfolio managers.
文摘With the rapid development of Internet media,Internet media coverage has more or less influence on investors'psychological level.This article uses Python technology to climb 2019.9 to 2020.1 of the monthly news reports on A share listed companies in the Snowball net,and studies the relationship between media attention and investors'heterogeneous beliefs.It is found that media attention is positively correlated with investors'heterogeneous beliefs,that is,investors are more likely to choose stocks frequently reported by media.Further research finds that media reports will strengthen investors'heterogeneous beliefs,affect investors'investment behavior,and ultimately lead to the increase of stock trading volume.
文摘This paper has two aims. The first one is to investigate the existence of chaotic structures in the oil prices, expectations of investors and stock returns by combining the Lyapunov exponent and Kolmogorov entropy, and the second one is to analyze the dependence behavior of oil prices, expectations of investors and stock returns from January 02, 1990, to June06, 2017. Lyapunov exponents and Kolmogorov entropy determined that the oil price and the stock return series exhibited chaotic behavior. TAR-TR-GARCH and TAR-TR-TGARCH copula methods were applied to study the co-movement among the selected variables. The results showed significant evidence of nonlinear tail dependence between the volatility of the oil prices, the expectations of investors and the stock returns. Further, upper and lower tail dependence and comovement between the analyzed series could not be rejected. Moreover, the TAR-TR-GARCH and TAR-TR-TGARCH copula methods revealed that the volatility of oil price had crucial effects on the stock returns and on the expectations of investors in the long run.
文摘This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effects, panel quantile regressions, apanel vector autoregression (PVAR) model, and country-specific regressions. We proxyfor negative and positive investor sentiments using the Google Search Volume Indexfor terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significantrelationships between positive and negative investor sentiments and stock marketreturns and volatility. Specifically, an increase in positive investor sentiment leads toan increase in stock returns while negative investor sentiment decreases stock returnsat lower quantiles. The effect of investor sentiment on volatility is consistent acrossthe distribution: negative sentiment increases volatility, whereas positive sentimentreduces volatility. These results are robust as they are corroborated by Granger causalitytests and a PVAR model. The findings may have portfolio implications as they indicatethat proxies for positive and negative investor sentiments seem to be good predictorsof stock returns and volatility during the pandemic.
文摘This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling positions of open-end fund investors in China. Results show that investors' buying and selling behaviors are significantly affected by fund performance. The reasons that lie behind such results are mainly related to the non-persistence of fund performance. When fund performance is non-persistent, investors are not clear about the future returns on funds. So, investors, especially individual investors, would have to realize the profits on hand immediately. Meanwhile, fund investors are highly sensitive to fund age and loading fees, but not sensitive to management fees charged by funds when they buy or sell fund shares.
文摘This paper examines systematic differences in earnings management through real activity manipulation and accrual manipulation across 7 Asia countries. The study proposes arguments that in economies with high investor protection, managers prefer to manage earnings through real activity manipulation rather than through accrual manipulation because accrual manipulation is more likely to draw auditors or regulators scrutiny than real decisions about pricing and production. The study findings are consistent with prediction. Despite being in economies with high investor protection, managers still have bigger discretion in managing earnings through real activities rather than accrual manipulation.
文摘The objective of this study is to examine the effect of accounting standards and investor protection on value relevance of earnings and book value of equity among European Union countries during the years 1999-2007. The results indicate that the adoption of International Financial Reporting Standards [IFRS] leads to improvement in value relevance, particularly on earnings. We also examine the impact of investor protection and the deviation of local accounting standards from IFRS on the effectiveness of the IFRS adoption. The results show supporting evidence for investor protection but inconclusive evidence for accounting standard deviation. However, additional analysis indicates that the countries which apparently benefit from adopting IFRS are those with high deviation of local accounting standards from IFRS and high investor protection. The findings imply that adopting IFRS alone cannot improve value relevance of accounting information, but standard setters and regulators need to strengthen their investor protection mechanisms in order to improve the quality of accounting information.
文摘Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothesis.However,after private issuance,we document a significant positive abnormal return within three years.We believe firms choose to polish their financial statement before the exit of institutional investors and controlling shareholders.Through manipulation of discretional accruals,firms improve the profitability and market valuation,and help institutional investors and controlling shareholders obtain the abnormal return after private placement of equity.Nevertheless,such manipulation cannot be sustained and will do harm to other investors in the long-term.
基金The Key Project of the National Natural Science Foundation of China (No.70532001)Project of Humanities and Social Sciences Research Base of Ministry of Education (No.06JJD630008)
文摘In order to examine the effects of avoiding reputation damage by investor relations management under certain corporate governance structures and mechanisms, samples of 1120 listed companies are used to research the influence on financial restatements by corporate governance. Then the moderating effects of investor relations management on financial restatements are analyzed. The result is that the more dispersed the equity, the higher the probability of financial restatements will be (This includes the government-controlled companies). Also the higher the proportion of independent directors and the higher the level of investor relations management, the lower the probability of financial restatements will be. Furthermore, as a moderating variable, investor relations management can eliminate the negative effects of corporate governance, enhance the effect of independent directors and reduce the probability of financial restatement.
文摘This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst optimism,and stock price crash risk.The results indicated that investor attention aggravates the stock price crash risk and has a positive effect on analyst optimism.Meanwhile,the analyst optimism plays a mediating role in the positive correlation between investor attention and stock price crash risk.In addition to that,institutional investor attention also has direct and indirect effects on the crash risk.
